Electroencephalography has garnered interest for applications in mobile healthcare, human–machine interfaces, and Internet of Things. Conventional electroencephalography relies on wet and dry electrodes. Despite favorable interface impedance of wet electrodes and skin, the application of a large amount of gel at their interface with skin limits the electroencephalography spatial resolution, increases the risk of shorting between electrodes, and makes them unsuited for long‐term mobile recording. In contrast, dry electrodes are better suited for long‐term recordings but susceptible to motion artifacts. In addition, both wet and dry electrodes are non‐adhesive to the hairy scalp and mechanical support, or chemical adhesives are used to hold them in place. Here, a conical microstructure array (CMSA) based sensor made of carbon nanotube‐polydimethylsiloxane composite is reported. The CMSA sensor is fabricated using the innovative, cost‐effective, and scalable method of viscosity‐controlled dip‐pull process. The sensor adheres to the hairy scalp by generating negative pressure in its conical microstructures when it is pressed against scalp. Aided by the application of a trace amount of gel, CMSA sensor establishes good electrical contact with the skin, enabling its applications in mobile electroencephalography over extended periods. Notably, the signal quality of CMSA sensors is comparable to that of medical‐grade wet gel electrodes.